I am running version IntellijIDEA 2.5.2 and would like to set a default directory so the File Open Project will bring up the file open dialog to a directory other than the USERPROFILE directory. I have tried changing the directory in the shortcut but that doesn't work.

Your profile directory is "default" for Open Project option only for the first time. When you create the real project the Open Project directory will changed to the one. IDEA store the last opened project directory and use it as "default" for the Open Project option.